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Did you bleed the system properly? If not, your are experiencing a common problem.
From Pelican Parts:
Remove the small plastic bleed screw to the right of the radiator cap. On M3 engines, this screw is located on the thermostat housing. Using a large funnel in the expansion tank, slowly fill the car with new coolant. Use a 50/50 mixture of antifreeze and distilled water. Do not use tap water or spring water, as these have impurities that will contaminate your system. Distilled or ionized water is 100% H20, and does not contain any minerals, additives, or impurities. Fill the system very slowly, as it will take a bit of time for the coolant to get to all points in the system. On 4-cylinder cars, you will need about 7 quarts (6.5 liters). For the six cylinder cars, you will need 10.6 quarts (10 liters). M3 motors require 11.1 quarts (10.5 liters).
When the system is full of coolant, you will need to bleed air out of it. This applied only to the cars that have the expansion tank attached to the side of the radiator. Other BMWs with a separate, external expansion tank are self-bleeding. The procedure for bleeding these cars seems somewhat sloppy and not too slick. With the bleed screw removed, fill the expansion tank until fluid begins coming out of the bleed screw. Continue filling until there are no more bubbles coming out, as shown in Figure 13. This, of course will mean that plenty of coolant will spill all over your radiator, and down onto the ground. Have a catch pan ready to capture this coolant spill. When no more bubbles exit out of the bleed screw, tighten it to 8 Nm (71 in-lb).
Now, run the engine until it reaches it's operating temperature. Turn off the engine and let it cool down. Then, top off the coolant in the expansion tank to the appropriate level, if necessary.